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Department of Economics

Professor Mike Clements

 

Publications prior to 2000 listed here 

Books
 
 

Recent (2000 - ) Publications

 

Book chapters

  • Economic forecasting in the face of structural breaks, in Holly, S. and Weale, M. (eds.) Econometric Modelling: Techniques and Applications, Cambridge University Press. (2000). 3-37. With David F. Hendry.
  • An overview of economic forecasting, in Clements, M. P. and Hendry, D. F. (eds.) A Companion to Economic Forecasting, Blackwells. (2002). 1- 18. With David F. Hendry.
  • Explaining forecast failure in macroeconomics, in Clements, M. P. and Hendry, D. F. (eds.) A Companion to Economic Forecasting, Blackwells. (2002). 539 - 571. With David F. Hendry.
  • Combining Predictors & Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth. In Non-linear Time Series Analysis of Business Cycles, eds. C. Milas, P. Rothman and D. van Dijk, Elsevier, Contributions to Economic Analysis. (2005). 55 - 74. With Ana B Gãlvao.
  • Forecasting with structural breaks. Chapter 12 in Handbook of Economic Forecasting, vol 1., (Handbook of Economics 24 ). Eds. G. Elliot, C.W.J Granger and A. Timmermann, Elsevier, North-Holland. (2006). With David F. Hendry.
  • Forecasting Annual UK Inflation using an Econometric Model over 1875--1991. In David E. Rapach and Mark E. Wohar (Eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty. Frontiers of Economics and Globalization Volume 3. Emerald Group, Bingley, UK. (2008) Chapter 1, 3-39. With David F. Hendry.
  • Forecast combination and encompassing. Palgrave Handbook of Econometrics: Volume 2 Applied Econometrics, edited by Terence C. Mills and Kerry Patterson. (2009) Chapter 4, 169 - 198. With David I. Harvey
  • Internal consistency of survey respondents' forecasts: Evidence based on the Survey of Professional Forecasters.' (2009). In: The Methodology and Practice of Econometrics. A Festschrift in Honour of David F. Hendry. eds. Jennifer L. Castle and Neil Shephard. Oxford University Press. Chapter 8, 206 - 226.
  • Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts. In: Oxford Handbook of Economic Forecasting. Eds. Michael P. Clements and David F. Hendry. Oxford University Press. (2011). With David F. Hendry.

Journal articles

  • Evaluating the forecast densities of linear and non-linear models: Applications to output growth and unemployment, Journal of Forecasting, 19, (2000). 255-276. With Jeremy Smith.
  • Evaluating forecasts from SETAR models of exchange rates, Journal of International Money and Finance, 20, (2001). 133-148. With Jeremy Smith.
  • Forecasting with difference and trend stationary models, The Econometrics Journal, 4, (2001). S1-S19. With David F. Hendry.
  • Bootstrapping prediction intervals for autoregressive models, International Journal of Forecasting. (2001). 17, 247-276. With Nick Taylor.
  • An historical perspective on forecast errors, National Institute Economic Review. No.177(July) (2001). 70-82. With David F. Hendry.
  • Robust evaluation of fixed-event forecast rationality, Journal of Forecasting. (2001). 20, 285-295. With Nick Taylor.
  • Explaining the results of the M3 forecasting competition, International Journal of Forecasting. (2001). 17, 550-554. Part of Commentaries on the M3-Competition. With David F. Hendry.
  • Conditional mean functions of non-linear models of US output, Empirical Economics. (2002). 27, 569-586. With Ana B Galvao.
  • Modelling methodology and forecast failure, The Econometrics Journal. (2002). 5, 319-344. With David F. Hendry.
  • Evaluating multivariate forecast densities: A comparison of two approaches, International Journal of Forecasting. (2002). 18, 397-407. With Jeremy Smith.
  • A comment on `The State of Macroeconomic Forecasting', by R. Fildes and H. Stekler. Journal of Macroeconomics. (2002). 24, No. 4.
  • Can oil shocks explain asymmetries in the US Business Cycle? Empirical Economics. (2002). 27,185-204. With Hans-Martin Krolzig. Reprinted in James D. Hamilton and Baldev Raj (eds.) Special Issue, `Advances in Markov-Switching Models: Applications in Business Cycle Research and Finance, Studies in Empirical Economics, Physica-Verlag, Germany. pp.41-60.
  • Business cycle asymmetries: Characterisation and testing based on Markov-switching autoregressions. Journal of Business and Economic Statistics. (2003). 21, 196-211. With Hans-Martin Krolzig.
  • Economic forecasting: Some lessons from recent research. Economic Modelling. (2003), 20, 301-329. With David F. Hendry.
  • Evaluating interval forecasts of high-frequency financial data. Journal of Applied Econometrics. (2003), 14, 445-456. With Nick Taylor.
  • Testing the expectations theory of the term structure in threshold models. Macroeconomic Dynamics. (2003), 7, 567-585. With Ana B Gãlvao.
  • On SETAR non-linearity and forecasting. Journal of Forecasting. (2003). 23, 359-375. With Philip Hans Franses, Jeremy Smith and Dick van Dijk.
  • International Journal of Forecasting Editorial: Some possible directions for future research. International Journal of Forecasting. (2003). 19, 1-3.
  • Asymmetric output gap effects in Phillips Curve and mark-up pricing models: Evidence for the US and the UK. Scottish Journal of Political Economy. (2003). 50, 3 59-374. With Marianne Sensier.
  • A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure. International Journal of Forecasting. (2003). 20, 219-236. With Ana B Gãlvao.
  • Pooling of Forecasts, Econometrics Journal. (2004). 7, 1-31. With David F Hendry.
  • Forecasting economic and financial time series with non-linear models. International Journal of Forecasting. (2004). 20, 169-183. With Philip Hans Franses and Norman Swanson.
  • Can regime switching models reproduce the Business Cycle features of US aggregate consumption, investment and output? International Journal of Finance and Economics. (2004). 9, 1-14. With Hans-Martin Krolzig.
  • Evaluating the Bank of England Density Forecasts of Inflation. Economic Journal. (2004). 114, 855-877.
  • Forecasting aggregate quarterly crime series. (2005). The Manchester School. 76, 6, 709 -727. With Robert Witt.
  • Evaluating a Model by Forecast Performance. (2005). Oxford Bulletin of Economics and Statistics. 67, 931 – 956. With David F. Hendry.
  • Guest Editors' Introduction: Information in Economic Forecasting. (2005). Oxford Bulletin of Economics and Statistics. 67, 713 - 753. With David F. Hendry.
  • Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts. Empirical Economics. (2006). 31, 1, 49 -- 64.
  • Bootstrap Prediction Intervals for Autoregressive Time Series. (2007). Computational Statistics and Data Analysis. 51, 7, 3580 - 3594. With Jae H. Kim.
  • An evaluation of the forecasts of the Federal Reserve: A pooled approach. (2007). Journal of Applied Econometrics. 22, 121 - 136. With Fred Joutz and Herman Stekler.
  • Consensus and Uncertainty: Using forecast probabilities of output declines. (2008). International Journal of Forecasting. 24, 76 - 86.
  • Macroeconomic Forecasting With Mixed-Frequency Data: Forecasting Output Growth in the United States. (2008). Journal of Business and Economic Statistics. 26, No. 4. 546-554. With Ana B Galvão.
  • Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2008). Journal of Empirical Finance. 15, 729-750. With Ana B. Galvão and Jae H Kim.
  • Economic Forecasting in a Changing World. (2008). Capitalism and Society: Vol. 3 : Iss. 2, Article 1. Available at: http://www.bepress.com/cas/vol3/iss2/art1 . With David F. Hendry.
  • Forecasting US output growth using Leading Indicators: An appraisal using MIDAS models. (2009). Journal of Applied Econometrics. 24, 7, 1187-1206. With Ana B. Galvão.
  • Forecasting Economic and Financial Variables with Global VARs, by Pesaran, Schuerman and Smith: A Comment. (2009). International Journal of Forecasting. 25. 680-683.
  • Forecast encompassing tests and probability forecasts. (2010). Journal of Applied Econometrics. 25, 1028-1062. With David I Harvey.
  • Explanations of the Inconsistencies in Survey Respondents' Forecasts. (2010). European Economic Review. 54, 536-549.
  • First Announcements and Real Economic Activity (2010). European Economic Review. 54, 803-817. With Ana B. Galvão.
  • Combining probability forecasts. (2011). International Journal of Forecasting. 27, 208-223. With David I Harvey.
  • An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decine and Output Growth Histograms. (2011). Journal of Money, Credit and Banking. 43, 1. 207-220.
  • Forecasting US Output Growth with Non-linear Models in the Presence of Data Uncertainty. (2012). Studies in Nonlinear Dynamics & Econometrics. 16, 1. 1-25.
  • Do Professional Forecasters Pay Attention to Data Releases? (2012). International Journal of Forecasting. 28, 297 - 308.
  • Improving real-time estimates of output and inflation gaps with multiple-vintage models. (2012) Journal of Business and Economic Statistics. 30, 4. 554--562. DOI: 10.1080/07350015.2012/707588. With Ana B. Galvão.
  • Forecasting with Vector Autoregressive Models of Data Vintages: US output growth and inflation. International Journal of Forecasting. With Ana B. Galvão. Forthcoming.
  • Real-time Forecasting of Inflation and Output Growth with Autoregressive Models in the Presence of Data Revisions. Journal of Applied Econometrics. Forthcoming. With Ana B. Galvão.
  • Forecasting by factors, by variables, by both or neither? Journal of Econometrics. Forthcoming. With Jennifer L. Castle and David F. Hendry. 10.1016/j.jeconom.2013.04.015